Messages are not hidden. In a VM environment, you would typically install Exchange on the Unity box itself. This exchange server is just for use by Unity. You would also have your corporate exchange server (which has no tie up with Unity) for email.

For ex: try OWA'ing to microsoft Unity VM servers's address (http:///exchange and login using one of the voice mail user accounts. You should see all the voicemails in that account attached as wavefiles in emails.